Robust Asset Allocation
Universe: 5 risky (VTI, VEU, VNQ, DBC, GLD) + 5 safe (IEF, TLT, TIP, AGG, SHY). Compute 12-month total return for all assets. Backtest max drawdown: -22.3%.
Strategy & methodology
Universe: 5 risky (VTI, VEU, VNQ, DBC, GLD) + 5 safe (IEF, TLT, TIP, AGG, SHY); Compute 12-month total return for all assets; For each risky asset: if 12m return > 0 → hold it (20% slot); If 12m return < 0 → replace that 20% slot with the…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2014-12-02; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (11)
- VEU: EFA before Mar 8, 2007
- VNQ: VGSIX before Sep 29, 2004
- TIP: VIPSX before Dec 5, 2003
- AGG: VBMFX before Sep 26, 2003
- TLT: VUSTX before Jul 26, 2002
- SHY: VFISX before Jul 26, 2002
- IEF: VFITX before Jul 26, 2002
- VTI: VTSMX before May 31, 2001
- TIP: PRTNX before Dec 5, 2003
- VNQ: FRESX before Sep 29, 2004
- VTI: VFINX before May 31, 2001
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Universe: 5 risky (VTI, VEU, VNQ, DBC, GLD) + 5 safe (IEF, TLT, TIP, AGG, SHY). Compute 12-month total return for all assets. Backtest max drawdown: -22.3%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 46815a15, published 2026-10-01
Is Robust Asset Allocation still working in 2026?
Robust Asset Allocation returned 19.10% over the trailing 12 months and 64.01% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 9.22%. Its full-backtest maximum drawdown was -22.34%. The full sample contains 10340 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -3.71% below its high-water mark of 2026-08-21, 41 days ago, and its longest run below a previous high was 2.3 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 19.10% | Not annualized | -6.07% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 64.01% | Not annualized | -10.95% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 3492.32% | 9.22% | -22.34% | 10340 | 1986-02-28 to 2026-10-01 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-08-21, 41 days before 2026-10-01, and it is -3.71% below that level now. The longest run below a previous high in the full backtest was 2.3 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
Robust Asset Allocation at a glance
Robust Asset Allocation is a tactical asset allocation (TAA) strategy by Wes Gray (Alpha Architect) across US Equity, International Equity, REITs, Commodities, rebalanced monthly. Backtested 1986-02-28 to 2026-10-01 (40.6 years): 9.2% CAGR, 1.00 Sharpe, -22.3% max drawdown, 9.2% volatility.
- Type
- Tactical (TAA)
- Author
- Wes Gray (Alpha Architect)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-10-01
- CAGR
- 9.2%
- Sharpe
- 1.00
- Max Drawdown
- -22.3%
- Volatility
- 9.2%
Robust Asset Allocation — Tactical Asset Allocation Strategy
Robust Asset Allocation by Wes Gray of Alpha Architect applies absolute momentum as a binary filter across five risky asset classes, with a best-safe-asset replacement mechanism for failing assets.
Each risky asset gets an equal 20% slot. If its 12-month return is positive, it is held. If negative, that 20% slot is replaced by the single best-performing safe asset. An optional aggressive variant adds a second filter: a risky asset is only replaced if its 12-month return is negative AND its price is below the 12-month SMA.
Robust Asset Allocation: frequently asked questions
- What is Robust Asset Allocation?
- Five-asset equal-weight allocation (US/intl stocks, REITs, commodities, gold) with absolute momentum filter. Any asset with negative 12-month return is replaced by the best-performing safe bond ETF. Monthly rebalancing.
- Who created the Robust Asset Allocation strategy?
- Robust Asset Allocation was developed by Wes Gray (Alpha Architect). It is based on Gray, W. (Alpha Architect). Robust Asset Allocation.
- What is the historical return and maximum drawdown of Robust Asset Allocation?
- Backtested from 1986-02-28 to 2026-10-01, Robust Asset Allocation returned 9.2% CAGR with a -22.3% maximum drawdown and a Sharpe ratio of 1.00. Past performance does not guarantee future results.
- How often is Robust Asset Allocation rebalanced?
- Robust Asset Allocation is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Robust Asset Allocation a tactical asset allocation strategy?
- Yes. Robust Asset Allocation is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1986-02-28 to 2026-10-01)
| Metric | Robust Asset Allocation |
|---|---|
| CAGR | 9.2% |
| Max Drawdown | -22.3% |
| Sharpe | 1.00 |
| Sortino | 1.69 |
| Volatility | 9.2% |
| Calmar | 0.41 |
| Total Return | 3492.3% |
| Backtest Period | 40.6 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Wes Gray (Alpha Architect)
- Source
- Gray, W. (Alpha Architect). Robust Asset Allocation
Asset Classes
- US Equity
- International Equity
- REITs
- Commodities
- Gold
- Bonds
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Robust Asset Allocation alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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